iPhone Bluetooth headphone problem

I am a person that leaves his computer at home, and do the work on the computer from the phone’s TeamViewer app. I used normal headphones and the audio has come through fine, although if I use my Bluetooth headphones, the audio will come through the phone instead of the Bluetooth headphones, is there any way I can fix this. I am connecting to a windows 10 computer from an iPhone XR, also it didn’t work when I connected to a MacBook Air from my phone either.